SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS

DOI10.1081/STA-120015018MaRDI QIDQ4828901zbMATH OpenFDO

Authors Alan T. K. Wan, Virendra K. Srivastava

Publication date 26 November 2004

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

RiskMonte-Carlo simulationBiasMean squared errorQuadratic lossLarge sample asymptoticsSeemingly unrelated regression

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

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Cited in

(5)

• Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• Shrunken estimators of seemingly unrelated regression models
• A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted
• A Stein-rule method for pooling data

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